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~person:"Kumar, Dilip"
~subject:"Schätzung"
~subject:"Zeitreihenanalyse"
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Schätzung
Zeitreihenanalyse
ARCH model
32
ARCH-Modell
32
Volatility
32
Volatilität
32
Estimation
20
Capital income
18
Kapitaleinkommen
18
Forecasting model
15
Prognoseverfahren
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12
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9
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Aktienmarkt
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Strukturbruch
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Volatility modeling
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Indien
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Kumar, Dilip
McAleer, Michael
95
Gupta, Rangan
35
Chang, Chia-Lin
34
Caporin, Massimiliano
29
Teräsvirta, Timo
29
Conrad, Christian
26
Bauwens, Luc
23
Hafner, Christian M.
23
Herwartz, Helmut
22
Paolella, Marc S.
22
Lütkepohl, Helmut
21
Mittnik, Stefan
20
Huang, Zhuo
19
Karanasos, Menelaos
19
Koopman, Siem Jan
19
Ma, Feng
18
Bouri, Elie
17
Engle, Robert F.
17
Francq, Christian
17
Hansen, Peter Reinhard
17
Caporale, Guglielmo Maria
16
Allen, David E.
15
Asai, Manabu
15
Lucas, André
15
Miller, Stephen M.
14
Rombouts, Jeroen V. K.
14
Silvennoinen, Annastiina
14
Zakoïan, Jean-Michel
14
Antonakakis, Nikolaos
13
Bollerslev, Tim
13
Haas, Markus
13
Laurent, Sébastien
13
Medeiros, Marcelo C.
13
Ardia, David
12
Blazsek, Szabolcs
12
Chen, Cathy W. S.
12
Feng, Yuanhua
12
Jawadi, Fredj
12
Rodriguez, Gabriel
12
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Theoretical economics letters
4
Economic modelling
3
IIMB management review
3
American journal of finance and accounting
2
International review of economics & finance : IREF
2
The journal of prediction markets
2
Decision
1
International review of financial analysis
1
Journal of economic research
1
Journal of quantitative economics
1
Paradigm : the journal of Institute of Management Technology
1
Review of accounting & finance
1
Studies in economics and finance
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
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1
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
2
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
3
Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect : an individual stock level study with economic sig...
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
The quarterly review of economics and finance : journal …
77
(
2020
),
pp. 271-285
Persistent link: https://www.econbiz.de/10012431113
Saved in:
4
Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip
- In:
Journal of quantitative economics
18
(
2020
)
3
,
pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
Saved in:
5
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
6
What impacts the structural breaks in volatility transmission from crude oil to agricultural commodities?
Kumar, Dilip
- In:
Journal of economic research
24
(
2019
)
1
,
pp. 91-127
Persistent link: https://www.econbiz.de/10012027966
Saved in:
7
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
8
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
9
Modeling Asymmetry and Persistence Under the Impact of Sudden Changes in the Volatility of the Indian Stock Market
Kumar, Dilip
-
2012
the forecasting ability of the
GARCH
class of models in the context of the Indian stock market. We apply the Iterated … Autoregressive Conditional Heteroscedasticity (
GARCH
) model and GJR-
GARCH
model, the estimated persistence and asymmetry in the …
Persistent link: https://www.econbiz.de/10013111952
Saved in:
10
On volatility transmission from crude oil to agricultural commodities
Kumar, Dilip
- In:
Theoretical economics letters
7
(
2017
)
2
,
pp. 87-101
Persistent link: https://www.econbiz.de/10011660209
Saved in:
1
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